Get Info for the track or use ⌘+I. Navigate to the Summary tab, and it says the file's path in the Finder.

Right-click the track and select "Show in Finder," and the file will be selected in a new Finder window.

Open iTunes preferences. Go to the General tab and make sure the "organize files automatically" option is ticked (that isn't the real name of it; I'm not at a computer with iTunes). The iTunes file hierarchy in Finder will be organized according to Artist and Album, making it easy to navigate manually.